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This is not really a continous construction in Dutch, although it does look like one. Here "het middageten" is a noun, which is combined with the preposition "aan" to describe where we are (figuratively) sitting. One could also say "Wij zijn aan het lunchen", which is a continous construction, using "aan het" + infinitive.

I have been wondering about this, too. If you listen to the slow version, it's easy to tell when they are saying we or wij, but in the regular speed version, they sound the same. I feel like they should probably accept both. We could suggest it.

From what I've gathered, the fact that they sound the same when spoken fast is how the unstressed (we/ze/je) forms came into being. When you're speaking fast — i.e., not emphasising the word — jij sounds like je, wij sounds like we, and zij sounds like ze. Thus they kinda became their own thing.

Yep, you're right. They don't even just sound like je/we/ze, but that's what we actually say when we're not stressing them. You mostly use jij/wij/zij (note: hij does not change in he) as a stressed form or in a more formal text, but they're not wrong in informal situations or when you don't want to stress them.

Aan is at, op is on. It's annoying how these little words are always so different even between closely related languages. (There are similar confusing differences between the various Romance languages.)

Sure. But the prepositions still have primary meanings that are strong enough to allow us to say which corresponds to which in general, even if languages make different choices when several prepositions could do the job.

more generally, is this lesson about preposition or more about how meaning of some verbs change with the proposition? like the English phrasal verbs? I saw the second exercise where the horen (to hear) + bij becomes "belong".. or I am just confused? thanks

No, because Dutch is more regular than English in this respect. It's the day's uniquely determined lunch, so you would expect it to get a definite article. If you think about it, it is odd that in English we omit the definite article for activities that happen regularly every day.

The use of articles is one of those areas where languages tend to be highly idiosyncratic, as is preposition use. It's not uncommon for something that sounds completely wrong in one language to be the rule in another. There generally isn't much logic behind it either - you pretty much have to just learn these things by rote.

Sit down and to both imply a direction, so you can only say your English sentence at the beginning of lunch. Aan translates to at, by, so it is completely static. Most likely lunch is already in full progress, and in fact it may be nearly over.

Okay I figured this out. One can use either zitten or zijn in this type of sentence
http://en.wiktionary.org/wiki/aan_het#Dutch
Middageten in this case acts as an infinitive verb (can mean lunch or to have lunch, in this case the latter)